REG - Legal & General Grp - L&G Half-year Report 2017 Part 3 <Origin Href="QuoteRef">LGEN.L</Origin> - Part 5
09/08/2017 07:07
- Part 5: For the preceding part double click ID:nRSI4602Nd
Economic - - 873 1,313 44 2,230 4
Technology and Telecoms 57 203 610 2,104 84 3,058 6
Industrials - 142 741 362 37 1,282 3
Utilities - 101 4,903 3,142 12 8,158 16
Energy - - 106 554 31 691 1
Commodities - - 304 475 77 856 2
Oil and Gas - 281 544 633 180 1,638 3
Property - - 1 6 - 7 -
Real estate - 305 628 1,063 48 2,044 4
Structured finance ABS / RMBS / CMBS / Other 121 671 572 46 49 1,459 3
Lifetime mortgage loans2 388 322 91 51 - 852 2
CDOs - - 59 14 - 73 -
Total £m 2,227 14,735 17,410 14,467 1,037 49,876 100
Total % 4 30 35 29 2 100
1. H1 16 and FY 16 Cash Equivalents and Financial Investments values have been restated. Refer to footnote 1 in the Consolidated Cash Flow Statement.
2. The credit ratings attributed to lifetime mortgages are allocated in accordance with the internal matching adjustment structuring.
Capital and Investments
Page 89
4.06 Bond portfolio summary (continued)
(a) LGR analysed by sector (continued)
Sectors analysed by domicile
EU Rest of
UK US excluding UK the World LGR
30.06.17 30.06.17 30.06.17 30.06.17 30.06.17
£m £m £m £m £m
Sovereigns, Supras and Sub-Sovereigns 9,024 704 1,105 501 11,334
Banks 931 688 497 118 2,234
Financial Services 383 68 605 - 1,056
Insurance 154 555 16 55 780
Consumer Services and Goods:
- Cyclical 772 2,049 290 131 3,242
- Non-cyclical 1,359 2,564 279 9 4,211
- Health care 1 384 - - 385
Infrastructure:
- Social 5,012 284 - 36 5,332
- Economic 1,917 205 29 236 2,387
Technology and Telecoms 591 1,356 659 413 3,019
Industrials 204 568 335 139 1,246
Utilities 3,862 1,237 2,322 912 8,333
Energy - 498 6 96 600
Commodities 8 290 22 525 845
Oil and Gas 187 396 465 544 1,592
Property - - - - -
Real estate 1,686 379 10 28 2,103
Structured finance ABS / RMBS / CMBS / Other 947 42 302 18 1,309
Lifetime mortgages 1,433 - - - 1,433
CDOs - 21 - 74 95
Total 28,471 12,288 6,942 3,835 51,536
Capital and Investments
Page 90
4.06 Bond portfolio summary (continued)
(a) LGR analysed by sector (continued) EU Rest of
Sectors analysed by domicile (continued) UK1 US1 excluding UK1 the World1 LGR1
30.06.16 30.06.16 30.06.16 30.06.16 30.06.16
£m £m £m £m £m
Sovereigns, Supras and Sub-Sovereigns 7,909 680 982 670 10,241
Banks 1,050 752 420 203 2,425
Financial Services 419 109 315 11 854
Insurance 276 597 46 80 999
Consumer Services and Goods:
- Cyclical 604 2,207 216 158 3,185
- Non-cyclical 1,131 1,735 177 70 3,113
- Health care 37 270 9 - 316
Infrastructure:
- Social 4,800 251 - 37 5,088
- Economic 1,688 71 28 114 1,901
Technology and Telecoms 553 1,282 869 394 3,098
Industrials 171 583 281 170 1,205
Utilities 3,437 1,181 2,348 860 7,826
Energy - 571 10 101 682
Commodities 19 282 24 514 839
Oil and Gas 183 520 338 579 1,620
Property - - - - -
Real estate 1,448 391 12 58 1,909
Structured finance ABS / RMBS / CMBS / Other 1,051 33 201 19 1,304
Lifetime mortgages 440 - - - 440
CDOs2 - - 1,031 71 1,102
Total 25,216 11,515 7,307 4,109 48,147
1. H1 16 and FY 16 Cash Equivalents and Financial
Investments values have been restated. Refer to footnote
1 in the Consolidated Cash Flow Statement.
2. The underlying reference portfolio has had no
reference entity defaults during the period. The CDOs
are termed as super senior since default losses on the
reference portfolio have to exceed 27.5%, on average
across the reference portfolio, before the CDOs incur
any default losses. Assuming an average recovery rate of
30%, then over 39% of the reference names would have to
default before the CDOs incur any default losses. The
CDOs are valued using an external valuation which is
based on observable market inputs. This is then
validated against the counterparty valuation.
Capital and Investments
Page 91
4.06 Bond portfolio summary (continued)
(a) LGR analysed by sector (continued)
Sectors analysed by domicile (continued)
EU Rest of
UK1 US1 excluding UK1 the World1 LGR1
31.12.16 31.12.16 31.12.16 31.12.16 31.12.16
£m £m £m £m £m
Sovereigns, Supras and Sub-Sovereigns 9,128 782 1,003 508 11,421
Banks 948 680 537 189 2,354
Financial Services 389 76 342 1 808
Insurance 176 528 15 55 774
Consumer Services and Goods:
- Cyclical 783 2,229 255 130 3,397
- Non-cyclical 1,142 2,419 201 13 3,775
- Health care 4 37 1 - 42
Infrastructure:
- Social 4,785 137 - 35 4,957
- Economic 1,934 74 - 222 2,230
Technology and Telecoms 582 1,305 746 425 3,058
Industrials 148 656 301 177 1,282
Utilities 3,673 1,191 2,387 907 8,158
Energy - 589 6 96 691
Commodities 16 290 27 523 856
Oil and Gas 183 485 417 553 1,638
Property - 7 - - 7
Real estates 1,629 340 17 58 2,044
Structured finance ABS / RMBS / CMBS / Other 1,016 50 375 18 1,459
Lifetime mortgages2 852 - - - 852
CDOs - - - 73 73
Total 27,388 11,875 6,630 3,983 49,876
1. H1 16 and FY 16 Cash Equivalents and Financial Investments values have been restated. Refer to footnote 1 in the Consolidated Cash Flow Statement.
2. The credit ratings attributed to lifetime mortgages are allocated in accordance with the internal matching adjustment structuring.
Capital and Investments
Page 92
4.06 Bond portfolio summary (continued)
(b) Total group analysed by sector
Sectors analysed by credit rating
BB or
AAA AA A BBB below Other Total Total
30.06.17 30.06.17 30.06.17 30.06.17 30.06.17 30.06.17 30.06.17 30.06.17
£m £m £m £m £m £m £m %
Sovereigns, Supras and Sub-Sovereigns 1,334 10,381 322 314 81 - 12,432 22
Banks:
- Tier 1 - - - 1 1 - 2 -
- Tier 2 and other subordinated 211 49 70 46 4 - 380 1
- Senior 11 992 2,233 51 1 - 3,288 6
- Covered 310 - - - - - 310 -
Financial Services:
- Tier 1 2 - - - - - 2 -
- Tier 2 and other subordinated - 129 109 64 - - 302 1
- Senior - 591 100 132 11 - 834 1
Insurance:
- Tier 1 - - - 1 - - 1 -
- Tier 2 and other subordinated - 113 4 56 - - 173 -
- Senior - 71 493 80 - - 644 1
Consumer Services and Goods:
- Cyclical - 358 1,124 1,698 230 - 3,410 6
- Non-cyclical 191 591 1,398 2,143 134 - 4,457 7
- Health Care 3 31 222 172 6 - 434 1
Infrastructure:
- Social 86 841 3,383 1,005 20 - 5,335 10
- Economic - 29 940 1,405 43 - 2,417 4
Technology and Telecoms 71 158 779 2,062 122 - 3,192 6
Industrials - 151 786 482 68 - 1,487 3
Utilities - 87 4,931 3,428 34 - 8,480 15
Energy - - 102 515 31 - 648 1
Commodities - - 312 537 41 - 890 2
Oil and Gas - 287 514 695 204 - 1,700 3
Property - - - - - - - -
Real estate - 369 491 1,254 63 - 2,177 4
Structured finance ABS / RMBS / CMBS / Other 305 620 531 59 55 - 1,570 3
Lifetime mortgage loans1 721 522 99 91 - - 1,433 3
CDOs - 21 60 14 - - 95 -
Total £m 3,245 16,391 19,003 16,305 1,149 - 56,093 100
Total % 6 29 34 29 2 - 100
1. The credit ratings attributed to lifetime mortgages are allocated in accordance with the internal matching adjustment structuring.
Capital and Investments
Page 93
4.06 Bond portfolio summary (continued)
(b) Total Group analysed by sector (continued)
BB or
AAA1 AA1 A1 BBB1 below1 Other1 Total1 Total1
30.06.16 30.06.16 30.06.16 30.06.16 30.06.16 30.06.16 30.06.16 30.06.16
£m £m £m £m £m £m £m %
Sovereigns, Supras and Sub-Sovereigns 1,747 9,427 405 458 83 1 12,121 22
Banks:
- Tier 1 - - - 1 6 - 7 -
- Tier 2 and other subordinated - - 172 256 15 1 444 1
- Senior 6 1,000 1,635 104 1 1 2,747 5
- Covered 303 2 - 16 - - 321 1
Financial Services:
- Tier 1 - - - - - - - -
- Tier 2 and other subordinated - 86 50 70 3 3 212 -
- Senior 6 381 169 157 22 163 898 2
Insurance:
- Tier 1 - - 1 1 - - 2 -
- Tier 2 and other subordinated - 35 140 89 26 1 291 1
- Senior 23 46 547 143 - - 759 1
Consumer Services and Goods & Health Care
- Cyclical - 350 1,018 1,922 204 9 3,503 7
- Non-cyclical 159 439 1,439 1,162 123 - 3,322 6
- Health Care 3 8 208 161 8 1 389 1
Infrastructure:
- Social 122 971 3,105 679 240 - 5,117 10
- Economic - 28 807 1,041 30 37 1,943 4
Technology and Telecoms 58 185 599 2,391 119 3 3,355 6
Industrials - 106 779 505 98 5 1,493 2
Utilities - 108 4,813 3,056 36 3 8,016 15
Energy - - 107 576 42 - 725 1
Commodities - - 314 472 104 - 890 2
Oil and Gas - 197 631 676 301 2 1,807 3
Property - - 3 7 2 3 15 -
Real estate - 436 358 739 442 - 1,975 4
Structured finance ABS / RMBS / CMBS / Other 337 785 282 90 48 - 1,542 3
Lifetime mortgage loans2 - - - 440 - - 440 1
CDOs3 - 722 366 14 - - 1,102 2
Total £m 2,764 15,312 17,948 15,226 1,953 233 53,436 100
Total % 5 29 34 28 4 - 100
1. H1 16 and FY 16 Cash Equivalents and Bond values have
been restated. Refer to footnote 1 in the Consolidated
Cash Flow Statement.
2. Lifetime mortgage loans have increased in value since
inception predominantly due to the accrual of interest
on the loans.
3. The underlying reference portfolio has had no
reference entity defaults during the period. The CDOs
are termed as super senior since default losses on the
reference portfolio have to exceed 27.5%, on average
across the reference portfolio, before the CDOs incur
any default losses. Assuming an average recovery rate of
30%, then over 39% of the reference names would have to
default before the CDOs incur any default losses. The
CDOs are valued using an external valuation which is
based on observable market inputs. This is then
validated against the market valuation.
Capital and Investments
Page 94
4.06 Bond portfolio summary (continued)
(b) Total group analysed by sector (continued)
Sectors analysed by credit rating (continued)
BB or
AAA1 AA1 A1 BBB1 below1 Other1 Total1 Total1
31.12.16 31.12.16 31.12.16 31.12.16 31.12.16 31.12.16 31.12.16 31.12.16
£m £m £m £m £m £m £m %
Sovereigns, Supras and Sub-Sovereigns 1,206 10,535 370 387 102 - 12,600 24
Banks:
- Tier 1 - - - 1 12 - 13 -
- Tier 2 and other subordinated 211 49 73 54 - - 387 1
- Senior 16 1,076 2,067 133 12 - 3,304 6
- Covered 259 - 16 - - - 275 1
Financial Services:
- Tier 1 - - - - - - - -
- Tier 2 and other subordinated - 87 59 63 - - 209 -
- Senior - 381 147 129 3 112 772 1
Insurance:
- Tier 1 - - 2 4 - - 6 -
- Tier 2 and other subordinated - 48 8 72 1 - 129 -
- Senior 29 88 495 80 - - 692 1
Consumer Services and Goods:
- Cyclical - 409 1,167 1,809 244 - 3,629 7
- Non-cyclical 300 665 1,454 1,474 148 - 4,041 7
- Health care 3 30 45 44 8 - 130 -
Infrastructure:
- Social - 624 3,262 926 148 - 4,960 9
- Economic - - 903 1,318 44 - 2,265 4
Technology and Telecoms 73 238 662 2,162 123 - 3,258 6
Industrials - 146 840 487 107 - 1,580 3
Utilities - 108 4,967 3,193 28 - 8,296 15
Energy - 5 106 575 44 - 730 1
Commodities - - 313 478 98 - 889 2
Oil and Gas - 290 582 692 236 - 1,800 3
Property - - 12 60 6 - 78 -
Real estate - 305 629 1,067 53 - 2,054 4
Structured finance ABS / RMBS / CMBS / Other 341 729 617 90 53 - 1,830 3
Lifetime mortgage loans2 388 322 91 51 - - 852 2
CDOs - - 59 14 - - 73 -
Total £m 2,826 16,135 18,946 15,363 1,470 112 54,852 100
Total % 5 29 35 28 3 - 100
1. H1 16 and FY 16 Cash Equivalents and Financial Investments values have been restated. Refer to footnote 1 in the Consolidated Cash Flow Statement.
2. The credit ratings attributed to lifetime mortgages are allocated in accordance with the internal matching adjustment structuring.
Capital and Investments
Page 95
4.06 Bond portfolio summary (continued)
(b) Total group analysed by sector (continued)
Sectors analysed by domicile
EU
excluding Rest of
UK US UK the World Total
30.06.17 30.06.17 30.06.17 30.06.17 30.06.17
£m £m £m £m £m
Sovereigns, Supras and Sub-Sovereigns 9,600 965 1,236 631 12,432
Banks 1,858 793 920 409 3,980
Financial Services 384 124 630 - 1,138
Insurance 161 583 19 55 818
Consumer Services and Goods:
- Cyclical 782 2,153 336 139 3,410
- Non-cyclical 1,374 2,769 291 23 4,457
- Health care 10 424 - - 434
Infrastructure:
- Social 5,015 283 - 37 5,335
- Economic 1,920 232 29 236 2,417
Technology and Telecoms 597 1,499 668 428 3,192
Industrials 218 775 345 149 1,487
Utilities 3,874 1,344 2,341 921 8,480
Energy - 546 6 96 648
Commodities 10 313 27 540 890
Oil and Gas 193 436 496 575 1,700
Property - - - - -
Real estate 1,687 444 14 32 2,177
Structured Finance ABS / RMBS / CMBS / Other 950 246 349 25 1,570
Lifetime mortgages 1,433 - - - 1,433
CDOs - 21 - 74 95
Total 30,066 13,950 7,707 4,370 56,093
Capital and Investments
Page 96
4.06 Bond portfolio summary (continued) EU
(b) Total group analysed by sector (continued) excluding Rest of
Sectors analysed by domicile (continued) UK1 US1 UK1 the World1 Total1
30.06.16 30.06.16 30.06.16 30.06.16 30.06.16
£m £m £m £m £m
Sovereigns, Supras and Sub-Sovereigns 8,421 991
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